STATISTICAL CAUSES FOR THE EPPS EFFECT IN MICROSTRUCTURE NOISE

DOI10.1142/S0219024911006838zbMath1233.91329arXiv1009.6157MaRDI QIDQ3225026

Michael C. Münnix, Thomas Guhr, Rudi Schäfer

Publication date: 13 March 2012

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.6157

zbMATH Keywords

market microstructurecovariance estimationrealized variancecorrelation estimationEpps effectnonsynchronous trading

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (3)

High-dimensional realized covariance estimation: a parametric approach ⋮ A closed-form formula characterization of the Epps effect ⋮ Malliavin--Mancino Estimators Implemented with Nonuniform Fast Fourier Transforms

Cites Work

• Estimating covariation: Epps effect, microstructure noise
• Covariance measurement in the presence of non-synchronous trading and market microstructure noise
• On covariance estimation of non-synchronously observed diffusion processes
• Generalized autoregressive conditional heteroscedasticity
• The Epps effect revisited
• A CLOSER LOOK AT THE EPPS EFFECT

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